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WHAT DO QUANTILE REGRESSIONS IDENTIFY FOR GENERAL STRUCTURAL FUNCTIONS?

Published online by Cambridge University Press:  02 October 2014

Yuya Sasaki
Yuya Sasaki*
Affiliation:
Johns Hopkins University
*
*Address correspondence to Yuya Sasaki, Johns Hopkins University, Department of Economics, 440 Mergenthaler Hall, 3400 N. Charles St., Baltimore, MD 21218, USA; e-mail: sasaki@jhu.edu.
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Abstract

This paper shows what quantile regressions identify for general structural functions. Under fairly mild conditions, the quantile partial derivative identifies a weighted average of heterogeneous structural partial effects among the subpopulation of individuals at the conditional quantile of interest. This result justifies the use of quantile regressions as means of measuring heterogeneous causal effects for a general class of structural functions with multiple unobservables.

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ARTICLES
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Econometric Theory , Volume 31 , Issue 5 , October 2015 , pp. 1102 - 1116
Copyright
Copyright © Cambridge University Press 2014 

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